dbvaello

I'm sorry that you do not feel your time was well spent with George. He certainly does his best to give clients 110% at all times. In fact, we pride ourselves on attention to detail and 1-on-1 service in an industry filled with "buy now" links and automated email blasts. While I don't think we need to continue the discussion on a public forum, I would be more than happy to speak with you directly. Please contact me through the website and I will personally reply to schedule time to discuss. I understand where you are coming from - we don't offer the type of environment most people are used to with monthly trading room subscriptions. It creates a zoo - a wreck of non-commitment which generally means that every day revolves around the lowest common denominator participants. I am not working in the public school system and my clients do not accept that type of mediocrity. I realize that this attitude drives many potential clients away. Amazingly it draws a much higher quality of student in the long run - which in turn creates a better environment for everyone involved. There are several hundred low monthly fee trading rooms to choose from. You can see after 5 minutes that the typical business model is to churn and burn new customers with the promise of riches. I refuse to be part of that model. Again, please contact me directly and I will be happy to discuss logic with you or any other component you wish. -DB

I agree fully that IQfeed provides better data for analysis and we absolutely recommend it & offer the connection, however while ZenFire may not isolate the trades at the bid or ask precisely the same, the volume is accounted for within 0.1% across the board. We see situations where IQ parses 7500 contracts slightly differently than ZenFire does... Like 4800/2700 (ZenFire) instead of 5200/2300 (IQ). This has no effect on our algorithms because we have to relate that total volume traded as 7500. Even if somehow the volume is off by 12 contracts... Does this really effect a market that trades 3M+/day? Both would be buyers and sellers - there are not magically only 5200 sellers even though 7500 (or 7512) traded. Even the v3.0 Trade Tracking algos we use for fill/kill have to account for market depth, total volume, volatility, rate of trade, and weighting volume according to inventory levels. Of course in the end the trick is having some strategy as to what you want to do with it - clearly your goal is more automation and pattern recognition - mine is not. Please do not misunderstand. I get the foundation of your argument. There is a considerable difference in using clearing feeds and even in the ZenFire/Rithmic API as opposed to drawing data from Ninja. We try to offer users options. Not all are equal for bid/ask. But because most of our clients execute via Zen or Rithmic, the option is there to use these feeds free either directly from the API or via Ninja. I have no problem paying the extra money for IQ. Regarding pattern recognition, It sounds to me like your algo is too broad based for what you are trying to accomplish. But of course I really do not know what you are doing. I have people tell me all the time that they do exactly what we do... Frankly I find that hard to believe. People tend to focus on the scalping algo because they see it on the net and want a magic indicator. It's not one. It is an add-on for a complex strategy. It has a specific purpose and is not some automated robot. Thus I would say less than 50% of my students even buy it - and those that do without any training are simply flying blind and hoping for magic. I do not have any desire to sell smoke and mirrors. If you buy it, learn how to use it. If you try to copy it, learn how to use it. You seem to have an excellent grasp of your own use of Order Flow, and therefore I would suggest you continue down your own path. Our tools are not the only solution out there and I am the first to admit that - I just find it funny that traders are so anxious to try to copy what we do and in the same post claim we are no different than the other vendors selling volume at price charting. As stated previously, if you have your own time, skills, understanding, imagination and are willing to put in the work there is no reason you can't skip the process of learning from someone else. I would only ask that you not simply assume that you know everything. I am very aware that there is a lot more that I don't know - than what I can claim to understand. DB

As previously mentioned, I do not want to be a vendor pushing his wares here. The information exchange is far too valuable for traders to have a constant sales pitch firing back at you. If you are interested in speaking with someone and getting a live demo of the application – and all of your questions answered – don’t hesitate to contact George through the site. He will gladly provide you with all the advertising and information you require. You can then post whatever you want in here (good or bad) so that we can keep the dialog honest and in the hands of participants, not vendors. And there is absolutely nothing “black box” about what we do. Yes, the algos are intellectual property but there is nothing automated, hands off or unexplained in what we do for students – except in the case of confidential custom programming for prop traders. That is their black box, not mine. I believe in discretionary rule-based screen trading with synthetic orders when applicable. As to your question about exhaustion… This goes into the work of analyzing not just the orders struck – which is what our friend Fulcrum keeps referencing in cumulative delta – but also the changing market depth. In order for price to trade higher, the available offers at any price (changing in sub-milliseconds) must be executed through. I will assume that you trade with some piece of market depth software… Be it Ninja’s DOM, TT’s MD Trader or any of the hundreds of other price ladder entry platforms. So assume you see roughly 2500 contracts being offered at the ASK at a specific price. While this number will deplete and grow as we trade into it, in the end you are likely to see one of two things happen in the Order Flow if we trade through it: First, you might see considerably less than 2500 actually print at the offer, say 1200 and then moving through to the next price. Wait, what happened to the other 1300? This would indicate that buyers are clearing the supply quickly and the “limit orders” you thought you saw there have been pulled, moved or otherwise killed. It’s is significant in the stop-run process indicating that trapped sellers and profitable buyers are unloading into an open window. Second option… You see some multiple of the original 2500 that were there, say 7500 print at the offer. Well now you have a completely different situation… We never see 7500 offered at a price. So how in the world are we printing that amount without moving higher? In this case the limit seller is responding to the price discovery, providing supply inventory for the buyer (either new interest or shorts coming out). In short, there is an effort to exhaust the initiating buyer. Rarely will the upward action simply cease at a volume exchange of 7500 lots. We will no doubt trade through it by at least a few ticks (and statistically speaking in the ES about 3-5 ticks), but the result is almost always a temporary shift in the flow of orders from buyers attacking the offer to sellers dumping into the recently cleared bids below. This is an example of a volume transition that can quickly burn the over-extended or over-committed buyers. You see it daily with buy-stop orders triggering longs at breakout points. It’s no secret where these traders are looking for entries – and while they might prove successful with the proper momentum and lack of supply – how often have you seen the market breakout of a range by only a few ticks – only to reverse – stop out the aggressive buyer by a few points and continue to rally without the weak-handed trader that bought the high? Being able to recognize the exhaustion forming sets you up for low-risk scalps that can turn into great multi-point positions and also makes you aware of the cluster of trade likely to get burned. It doesn’t take a genius to know where those positions will start to unload if you know where they came in. If the exhaustion does not form – meaning the “open window” example above, then seeing the location of that window shows you exactly where to manage a breakout long from to avoid being part of the 90% typically shaken out of the move before it runs. Either way, if your general premise (OFA or any other way of reading the print) does nothing to account for the changes in the market depth, you are only seeing 50% of the value of Order Flow Analysis. We are constantly compared to other volume-at-price charting tools. I would argue that none of them even remotely account for the sub-millisecond changes in resting supply or demand. Many even make claims that you can’t use market depth because orders are spoofed, pulled, etc. If you think HFT algos do not account for both the available supply and demand and the executed strike volume you are fighting a losing battle. We write custom algos and automation for multiple prop houses. I have never met one that takes the approach that you can’t analyze what you can’t see. DB

I want to apologize in advance for the long post. I have no intention to use this forum for advertising. Traders Laboratory provides an excellent service for traders to discuss ideas and issues. I felt I had the obligation to acknowledge the post in general but honestly feel that about 95% of the discussion in these threads does not apply to my OFA software development. Any questions directed to our website will be answered and I will humbly accept all the ego-driven insults that follow this post… As is the case with anything being offered at a price - there is tremendous speculation by the weary, posturing by the competition, criticism by those unable/unwilling to do for themselves… and a few nice comments. Personally I would never buy any software or trading advice from anyone. I choose to develop and design my own ideas, concepts and intellectual property. For those lacking the resources, knowledge, skills, endurance and imagination required to do so, this industry is filled with people willing to share their work (and often the work of others) for whatever fair price the market dictates. When you can’t find what you want on the open market you can simply give up or build it yourself. I chose to build it myself. The OFA application was built because I had a vision for how I wanted to track the bid and ask strike data on the ES. When I approached existing companies like Market Delta to offer customizations that would result in what I was looking for, all doors were shut abruptly in my face. This is an ugly industry. No existing charting company will consider the possibility that there is a better way of doing things, mostly because 99% of developers don’t trade. If they ever did trade, they were not good enough to continue. Once you take the active trader out of the development process, you can assume any resulting product is completely worthless. Developers end up producing “features” rather than “benefits”. Trading is a feature-rich and benefit-deficient industry. The tools I build are complex, purpose specific, expensive and by no means collectively a magic system – but they are a direct benefit to my trading. They are parts and pieces of what help me execute and manage trades consistently. Just as Fulcrum swears by the cumulative delta and open inventory, or Bill Duryea swears by 5 tick reversals… We all have our own way of looking at the same data. None are more right than any other. We look for consistent patterns that we can capitalize on. In my case I design software to solidify the patterns I see and use rather than trying to interpret some other developer’s limited scope. I rely on the statistics of the Order Flow patterns as defined by my software to develop trading strategies. I have to know week to week and month to month what the probable outcome of each pattern is in order to effectively trade from or with them. For me Order Flow trading involves playing into the revolving exhaustion points as we trade through responsive market depth. I know exactly what to expect when I see clusters of volume exceeding average supply or demand. I know that I can reduce my draw-downs if I avoid putting my stops directly into the pocket of stop-runs that regularly follow these clusters. That is what my software is designed to illustrate and my strategies are designed to capitalize on. I am not interested in the net difference of market orders from 2 days ago – and I don’t care about catching every swing of the market. I want to attack the market when I understand that I have a probable edge. That is what I built OFA for. When there is a large fee attached to services the speculation and criticism land in forums like this one… In the end, anything offered by OFA or any of the other vendors that have tried (and done poorly) to sound impartial here will always be available to you for free if you are willing to accept the alternative real cost: your time, work, equity, endurance and imagination to develop your own trading methods. Should you prefer to bypass the alternative real cost, you have many options out there… Software, seminars, systems, books, videos, etc. In your quest as a consumer of other people’s work, consider a golfer who plays poorly and wants to make a change in his game. Should he spend $300 on a new driver or $300 on a golf lesson? You decide which will have more impact. Some will choose both. Some just the lesson. Some will continue to slice into the trees while cursing their new club. Here are 5 points to consider before making your next trading-related purchase: 1. If you think you can’t afford it, you can’t. 2. If it sounds too good to be true, it is. 3. If you are promised instant profits, you won’t get them. 4. If you expect someone else to do the work for you, they won’t. 5. If you are undercapitalized or under-disciplined you will fail no matter what you buy. This includes the purchase of OFA. Trading is work. It’s not easy. There is no secret. Successful speculation requires capital, courage and good judgment. Capital is common. Courage is widespread. Good judgment is the only rare commodity in this industry. D.B. Vaello OrderFlowAnalytics.Com